BNP Paribas Public Sector SCF · zPure public sector assets Public sector collateral portfolio of...

Investor Presentation

March 2011

BNP Paribas Public Sector SCFSecurity ▪ Transparency ▪ Simplicity

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This document has been prepared by BNP Paribas Public Sector SCF and BNP Paribas solely for use in investor meetings. This document is confidential and is not to be reproduced by any person, nor be distributed to any person other than its original recipient. BNP Paribas Public Sector SCF and BNP Paribas take no responsibility for the use of these materials by any person.

This document does not relate to any particular offering of securities (an "Offering") and it does not constitute a prospectus for any Offering. You should refer to the BNP Paribas Public Sector SCF € 15,000,000,000 Covered Bond Programme prospectus for more complete information about any Offering, and it is your responsibility to read the BNP Paribas Public Sector SCF € 15,000,000,000 Covered Bond Programme final base prospectus as supplemented from time to time (the “Final Prospectus”) for any Offering before making an investment decision.

This document does not constitute or form part of any offer to sell or issue or invitation to purchase or subscribe for, or any solicitation of any offer to purchase or subscribe for, any securities of BNP Paribas Public Sector SCF, nor shall it or any part of it, nor shall the fact of its distribution form the basis of, or be relied on in connection with, any contract or investment decision. Any decision to buy or purchase notes in an offering should be solely on the basis of the information contained in the Final Prospectus. In particular, investors should pay special attention to any sections of the Final Prospectus describing any risk factors.This document is not an offer to sell or the solicitation of an offer to purchase securities in the United States. Securities may not be offered or sold within the United States or to or for the account or benefit of U.S. persons except pursuant to an exemption from the registration requirements of the U.S. Securities Act of 1933, as amended. BNP Paribas does not intend to register any portion of any Offering in the United States or to conduct a public Offering of securities in the United States. Some information contained herein and other information or material may include forward-looking statements based on current beliefs and expectations about future events. These forward-looking statements are not guarantees of future performance and are subject to inherent risks, uncertainties and assumptions about BNP Paribas Public Sector SCF and its investments, developments in BNP Paribas’ business, banking industry trends, future capital expenditures, changes in economic conditions globally or in BNP Paribas’ principal markets, the competitive environment and regulatory factors. Those events are uncertain, and their outcome may differ from current expectations, which may in turn significantly affect expected results. Actual results may differ materially from those projected or implied in these forward-looking statements. Any forward-looking statement contained in this document speaks as of the date of this document. BNP Paribas does not undertake, nor does it have any obligation, to publicly revise or update any forward-looking statements in light of new information or future events.

The information contained in this document as it relates to parties other than BNP Paribas Public Sector SCF or BNP Paribas has not been independently verified and no representation or warranty expressed or implied is made as to, and no reliance should be placed on the fairness, accuracy, completeness or correctness of, the information or opinions contained herein. None of BNP Paribas Public Sector SCF, BNP Paribas or their advisors or their representatives shall have any liability whatsoever in negligence or otherwise for any loss however arising from any use of this document or its contents or otherwise arising in connection with this document or any other information or material discussed.

No representation or warranty, express or implied, is made by BNP Paribas Public Sector SCF or BNP Paribas or their respective affiliates, or their or any such affiliate’s respective directors, officers, employees, partners, agents and advisers as to the accuracy or completeness of the information contained herein, and nothing contained herein is, or shall be relied upon as, a promise or representation by such persons. Any offer or invitation or decision to invest in relation to any securities is made solely by means of a Final Prospectus and any purchase of securities should be made solely on the basis of the information contained therein.You are reminded that this document has been delivered to you on the basis that you are a person into whose possession this document may be lawfully delivered in accordance with the laws of the jurisdiction in which you are located and in particular in France on the basis that you are a (i) provider of investment services relating to portfolio management for the account of third parties, and/or (ii) qualified investor (investisseur qualifié) other than an individual – all as defined in, and in accordance with, articles L.411-1, L.411-2, D.411-1 to D.411-3 of the French Code monétaire et financier. This document may not be delivered within the United States or to U.S. persons (as defined in Regulation S under the U.S. Securities Act of 1933, as amended). You may not, nor are you authorised to, deliver this document to any other person.

Disclaimer

Appendices

Contact

Conclusion

BNP Paribas Public Sector SCF Programme

BNP Paribas Public Sector Business & Portfolio

BNP Paribas Funding Strategy

Introduction

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Introduction

BNP Paribas GroupA leading European banking groupA solid and profitable financial structure with well-diversified business modelA conservative financial profile supported by strong senior unsecured debt ratings of AA (negative) / Aa2 (stable) / AA- (stable) by S&P, Moody’s and Fitch respectively

BNP Paribas Public Sector SCFLicensed as a société de crédit foncier (SCF) under French law to issue obligations foncières Fully owned and supported by BNP ParibasBankruptcy remote from BNP Paribas Several structural enhancements providing investors with added security€15 bn programme of obligations foncières to be rated AAA / Aaa / AAA with hard bullet maturities in various currencies

Public Sector Cover PoolPure public sector assets originated by BNP Paribas GroupAll assets transferred using true sale mechanismMinimum 5% overcollateralisation maintained at all timesAll cover pool assets are 0% risk weighting

BNP Paribas Funding StrategyBNP Paribas Public Sector Business & Portfolio


Conclusion

Contact

Appendices

Introduction

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BNP Paribas Funding StrategyBNP Paribas Public Sector SCF objectives

Add additional flexibility to funding managementAdd additional flexibility to funding management

Provide investors with transparency and security of public sector collateralProvide investors with transparency and security of public sector collateral

Create a benchmark curve to optimise liquidity for investorsCreate a benchmark curve to optimise liquidity for investors

Diversify BNP Paribas Group investor baseDiversify BNP Paribas Group investor base

Appendices

Contact

Conclusion


BNP Paribas Public Sector Business & PortfolioBNP Paribas Funding Strategy

Introduction

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BNP Paribas Public Sector BusinessA strong and diversified public sector portfolio

Diversity of guarantors

%

21.8

21.433.8

23.0

Latin America / North America

Middle East / Africa

Asia / Pacific

Europe

%

12.09.2

7.1

6.0

5.9

4.4

15.0

13.4

27.0

FranceGermanyUSAKoreaJapanItalyScandinaviaUKOthers

Diversity of borrowers by region

BNP Paribas is positioned as one of the world’s leading public sector financing banks

A geographically diversified portfolio with more than 350 clients worldwide and 1,050 loans originatedSovereign guarantees provided by a diverse group of guarantorsTotal current public sector eligible loan portfolio of almost €28 bn

%

22.0

21.429.6

27.0

Transport

Energy

Aviation

Industry

Diversity of borrowers by sector

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BNP Paribas Public Sector BusinessStrict and coordinated underwriting process and servicing

Four regional teams (Europe, Middle-East/Africa, Americas, Asia) with professionals on the ground in the key borrowing countries

Close relationships with borrowers Local sector expertise and structuring capabilitiesEach client has a dedicated senior banker

One global transaction teamCentralised technical and operational knowledge Coordinated and standardised structuring of all loans

One origination desk in charge of managing and negotiating sovereign guarantees Back office teams are responsible for servicing and collection of loans

Three booking offices (New York, London, Paris)Responsible for implementation, drawings and monitoring of riskAll files are reviewed annually

Multi approval credit process involving both local and centralised credit committees and senior management oversight

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BNP Paribas Public Sector BusinessA conservative sovereign-backed collateral portfolio

Loans in the collateral portfolio have been originated solely by BNP ParibasFinancing of capital goods, equipment and services - i.e. Export and Aviation FinanceInitial maturity of loans range from 5 to 15 yearsBoth fixed and floating interest rates, only in Euros and US dollars

The collateral portfolio is exclusively made of loans, there are no ABS or bondsAll loans in the collateral portfolio are backed by OECD sovereigns with strong credit ratingsGovernmental entities (or private entities acting on behalf of the government) cover political and commercial risks via guarantees and insurance policies of loans in the collateral portfolio

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BNP Paribas Public Sector SCF Programme Characteristics of current collateral portfolio (as of end of June 2010)

Pure public sector assetsPublic sector collateral portfolio of around €3.2 bn (296 loans) with no delinquencies (as per December 2010)100% sovereign-backed by France, Germany, UK and USAll collateral transferred to BNP Paribas Public Sector SCF has a 0% risk weightingRestricted to refinancing of public sector exposure originated by BNP Paribas Group

Diversification of guarantors should increase in future

High quality of assets will be maintainedLoans to sovereign, central banks, governments and public institutions can be included

Quarterly investor reports will be available at http://invest.bnpparibas.com/

Diversity of guarantors

Diversity of borrowers by sector

%

31.9

8.530.6

29.0 FranceGermanyUKUSA

%

7.21.0

16.0

75.8

Aviation

Energy

Other (Industry, Equipment,Services ...)Transport

Appendices

Contact

Conclusion

BNP Paribas Public Sector SCF ProgrammeBNP Paribas Public Sector Business & Portfolio


Introduction

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Fully owned and supported by BNP ParibasLicensed as a société de crédit foncier (SCF) under French law to issue obligations foncières (French legislative covered bonds)Bankruptcy remote from BNP ParibasRated AAA by all three agenciesPure public sector assets cover pool originated by BNP Paribas Group and transferred using a true sale mechanismMinimum 5% overcollateralisationSeveral structural enhancements providing investors with added securityIssue hard-bullet public and private placement obligations foncières in various currencies and maturities

BNP Paribas Public Sector SCF ProgrammeKey characteristics

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BNP Paribas Public Sector SCF ProgrammeA licensed SCF issuing obligations foncières

BNP Paribas Public Sector SCF is licensed and regulated by the French Banking authorities (CECEI and Banque de France) with strict conditions

Supervised by the French banking regulator (Commission Bancaire)Restricted to acquire and to manage public sector assets of BNP Paribas Group onlyAuthorised to issue obligations foncières (legislative covered bonds) under French lawOwned by BNP Paribas who has committed to fully support BNP Paribas Public Sector SCF in terms of liquidity and solvability

Strong protection in case of liquidation or bankruptcy of BNP ParibasBankruptcy remoteness from parent ensured by French lawInvestors in obligations foncières benefit from legal privilege

Absolute seniority of payments over all creditors including the super privileged ones such as the French Internal Revenue ServiceNo early redemption or accelerationEqual ranking to servicing fees and swap counterparties hedging interest-rate and currency risks

BNP Paribas Public Sector SCF is closely monitored and supervisedFrench banking authorities (CECEI and Banque de France)Specific controller (Fides Audit) and alternate specific controller who report to French banking regulator (Commission Bancaire)Ongoing rating agency monitoring and stress testing (minimum quarterly)Quarterly review by independent auditors (PriceWaterhouseCoopers, Mazars)

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BNP Paribas Public Sector SCF Programme A strong operating structure

Minimum 5% overcollateralisation will be maintained at all timesInitial overcollateralisation ratio will be higherRatio can be adjusted over time if required to maintain AAA ratings

All interest-rate and currency risks are fully covered by swaps in place from closingAll swaps comply with most recent standard swap criteria of all three rating agencies for covered bonds (including one-way collateral posting and downgrade triggers)

Several enhancements are included in the structure to further improve security for investors in addition to requirements under French law

Pre-maturity test covering twelve months of liquidity with a floor of €500 mn if BNP Paribas as Sponsor Bank is downgraded below A-1/F1+/P-1Servicer advance mechanism: BNP Paribas (as Servicer) undertakes to advance collections in an amount equal to the sums to be paid BNP Paribas Public Sector SCF under the obligations foncières, which cannot be funded from the funds due under the cover pool assets on each maturity date or instalment date (the Collection Advance) Commingling and set-off reserves upon loss of A-1/F1/P-1 by BNP Paribas as Account Bank and Sponsor Bank

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BNP Paribas Public Sector SCF Programme A highly-rated and secure financing structure

AAA/Aaa/AAA ratings confirmed by S&P/Moody’s/Fitch on all obligations foncièresissued by BNP Paribas Public Sector SCFFitch

Rating delinkage: AAA rating of obligations foncières issued can be maintained as long as BNP Paribas is rated at least BBBVery low Discontinuity factor (D-fact) of 10.3%: reflects segregation of collateral pool, liquidity coverage, feasibility of transfer of servicing and supervision by French banking authoritiesAA rating of BNP Paribas Public Sector SCF equals rating of BNP Paribas

Moody’sTimely Payment Indicator (TPI) of probable-high:

Reflects high likelihood of timely payment following the sponsor bank defaultAAA rating of obligations foncières can be maintained as long as BNP Paribas is rated A3 or higher

S&PFrench legislation creates a sound basis to assign AAA rating predominantly based on the strength of the cover pool and with limited recourse to BNP Paribas if it defaultsFloor in pre-maturity test of €500 mn which can be adjusted upwards

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BNP Paribas Public Sector SCF Inaugural transaction – €1 bn 3.625% due 16/06/2014

Issue Size €1 bn

Issuer BNP Paribas Public Sector SCF

Issue Rating AAA / Aaa / AAA (S&P/Moody’s/Fitch)

Maturity 16 June 2014

Re-offer Price 99.924%

Spread Mid-swap + 77 bp

Coupon 3.625%

Denomination €1,000 / €1,000

Listing Luxembourg Stock Exchange

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BNP Paribas Public Sector SCF Second transaction – €1 bn 3.750% due 26/02/2020

Issue Size €1 bn



Maturity 26 February 2020



Coupon 3.750%


Listing Luxembourg Stock Exchange

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BNP Paribas Public Sector SCF Third transaction – €1 bn 2.250% due 22/10/2015

Issue Size €1 bn



Maturity 22 October 2015



Coupon 2.250%


Listing Euronext Paris

Appendices

Contact

ConclusionBNP Paribas Public Sector SCF Programme



Introduction

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Highly-rated, sovereign-backed instrumentsRated AAA / Aaa / AAA by S&P, Moody’s and Fitch respectively

Exposure limited to high quality public sector assets

Highly-rated, sovereign-backed instrumentsRated AAA / Aaa / AAA by S&P, Moody’s and Fitch respectively

Exposure limited to high quality public sector assets

Conclusion

Strictly regulated and closely supervisedLicensed and regulated by the CECEI and Banque de France

Supervised by the French banking regulator (Commission Bancaire)Ongoing rating agencies monitoring and periodic review by independent auditors

Strictly regulated and closely supervisedLicensed and regulated by the CECEI and Banque de France

Supervised by the French banking regulator (Commission Bancaire)Ongoing rating agencies monitoring and periodic review by independent auditors

Legislative and structural measure protect investorsBankruptcy remoteness ensured by French Law

Minimum overcollateralisation, strict hedging requirements and numerous enhancements add to strength of the structure

Legislative and structural measure protect investorsBankruptcy remoteness ensured by French Law

Minimum overcollateralisation, strict hedging requirements and numerous enhancements add to strength of the structure

Strong support of BNP Paribas GroupRated AA (negative) / Aa2 (stable) / AA- (stable) by S&P, Moody’s and Fitch respectively

Liquidity and solvability support committed by BNP Paribas Group

Strong support of BNP Paribas GroupRated AA (negative) / Aa2 (stable) / AA- (stable) by S&P, Moody’s and Fitch respectively

Liquidity and solvability support committed by BNP Paribas Group

Appendices

ContactConclusion




Introduction

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Contacts BNP Paribas Medium and Long Term Funding Valérie Brunerie

Tel: +33 1 40 14 70 [email protected]éronique FloxoliTel: +33 1 42 98 72 [email protected] DeforgeTel: +33 1 40 14 85 [email protected]ément ReberiouxTel: +33 1 40 14 73 [email protected]

Covered Bond Structuring Arjan VerbeekTel: +44 207 595 [email protected] DierickTel: +44 207 595 [email protected]

Debt Capital Markets - Origination Christopher DrennenTel: +44 207 595 [email protected]

Debt Capital Markets - Syndicate Derry HubbardTel: +44 207 595 [email protected]

AppendicesContacts

Conclusion




Introduction

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Legal referencesEligible assets under French legislative framework

Articles L.515-14 to L.515-17 of the French Monetary and Financial Code set out the list of eligible assets to be held by SCFs, which include exposures to public sector entities which comprise exposure over or guaranteed by:

Central administrative bodies, central banks, public corporations, territorial authorities or groups thereof in EU, EEA, the USA, Switzerland, Japan, Canada, Australia and New Zealand Central administrative bodies or central banks of other countries as well as the European communities, the IMF, the BIS and other international organisations or multilateral development banks benefiting from the best credit level rating assigned by an independent credit rating agencyThese exposures include, but are not limited to:

Debt instruments issued, payments held over, receivables deriving from leasing contracts with, or fully guaranteed by such public sector entities Senior units or notes issued by French securitisation vehicles (organismes de titrisation) or similar securitisation vehicles governed by the laws of EU, EEA, the USA, Switzerland, Japan, Canada, Australia and New Zealand

At least 90% of the assets of such vehicles shall comprise exposures to public entities eligible to an SCF; or receivables benefiting from an equivalent security or guarantee. Maximum 10% can consist of promissory notes

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Technical aspectsHedging strategy

BNP Paribas Public Sector SCF will not be exposed to risk of an interest-rate or currency mismatch arising between the payments received on the collateral pool and the payments to be made under the obligations foncières as hedging agreements will be put in place at closing of each transaction in order to hedge these risks BNP Paribas Public Sector SCF will enter into the following hedging agreements with eligible hedging providers

Cover Pool Hedging Agreement: to swap the interest on the collateral pool into Euribor and the currency into EuroCovered Bonds Hedging Agreement: one per obligation foncière serie to swap the interest rate into Euribor and the currency into Euro of the respective obligation foncière seriePre-Maturity Rating Event: upon the occurrence of an hedging counterparty rating trigger event, one of the following remedies will need to be put in place, at the cost of the swap counterparty:

Replacement of the swap counterpartyGuarantor of the swap counterparty

The hedging counterparty will need to post collateral throughout the period starting from the occurrence of a Pre-Maturity Rating Event and ending on the date on which the Pre-Maturity Rating Event ceases to be continuing

All swaps comply with the latest standard criteria for hedging agreements as published by the rating agencies and updated over time

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Technical aspectsStructural highlights: liquidity supports

The pre-maturity test ensures liquidity in case of a downgrade of BNP ParibasIf the short term rating of BNP Paribas (as cash collateral provider) falls or is below A-1 (S&P), P-1 (Moody’s) or F1+ (Fitch), BNP Paribas must fund a cash collateral account for an amount equalling all the amounts due under any series of obligations foncières in the next 180 business days as well as the servicing fees

This amount is subject to a floor of €500 mn which will apply if less than €500 mn is due in the next 180 business days

Servicer advance provides liquidityBNP Paribas (as Servicer) undertakes to advance collections in an amount equal to the sums to be paid by BNP Paribas Public Sector SCF under the obligations foncières which cannot be funded from the funds due under the cover pool assets on each maturity date or instalment date (the Collection Advance)

Liquidity support under hedging agreementsMonthly payment under the hedging agreementsFunds held by the highly rated hedging counterparties until the (annual) payment of interest

All rating triggers comply with the rating agencies' public methodologies and criteria and can be adjusted in order to maintain the ratings of the obligations foncières

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Technical aspectsStructural highlights: commingling, set-off & servicing

Commingling risk reserveIf BNP Paribas’ short-term rating falls or is below A-1 (S&P), P-1 (Moody’s) or F1 (Fitch), BNP Paribas will undertake to create a commingling reserve fund equal to the amount of interest due under all series of obligations foncières in the next 30-day period plus a quarter of the annual amount of fees

Set-off risk reserveIf BNP Paribas’ short-term rating falls or is below A-1 (S&P), P-1 (Moody’s) or F1 (Fitch), BNP Paribas will undertake to create an additional overcollateralisation reserve fund equal to the excess (if any) of:

The principal amounts due by borrowers entitled to discharge by way of set-off with sums deposited with BNP Paribas, overThe amount of collateral available in excess of the required overcollateralisation

Asset servicing and servicing replacement triggerBNP Paribas will perform the asset servicing in the best interest of BNP Paribas Public Sector SCF and provide asset reportingBNP Paribas Public Sector SCF may enter into a master servicing agreement with an eligible replacement servicer if BNP Paribas is downgraded below BBB-/Baa3/BBB-

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